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Australian Persistence Scorecard: Mid-Year 2021

Persistence Scorecard Latin America Mid-Year 2021

SPIVA Japan Mid-Year 2021

SPIVA Latin America Mid-Year 2021

Canada Persistence Scorecard: Mid-Year 2021

Australian Persistence Scorecard: Mid-Year 2021

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Priscilla Luk

Managing Director, Global Research & Design, APAC

S&P Dow Jones Indices

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Tim Wang

Senior Analyst, Global Research & Design

S&P Dow Jones Indices

EXECUTIVE SUMMARY

  • While comparing active funds against their respective benchmark indices is a typical practice to evaluate their performance, persistence is an additional test that can reveal fund managers’ skills in different market environments.
  • In this report, we measure the performance persistence of active funds that outperformed their peers and benchmarks over consecutive three- and five-year periods, and we analyze their transition matrices over subsequent periods.
  • A minority of Australian high-performing funds persisted in outperforming their respective benchmarks or consistently stayed in their respective top quartiles for three consecutive years, and even fewer maintained these traits consistently for the five-year period. 

  • Among top-performing funds in the 12-month period ending in June 2017, only 3.0% maintained a top-quartile rank, and only 4.1% consistently beat their benchmarks in the following four consecutive years.
  • Over two successive three- and five-year periods, a majority of top performing funds failed to stay in the top quartile consistently.
  • Around half of the outperforming funds managed to beat their respective benchmarks consistently for two successive three-year periods, but much less for two successive five-year periods.
  • Out of the 166 Australian funds that ranked in their respective top quartile in the five-year period ending June 2016, only 26.5% of them remained in the top quartile in the subsequent five-year period.
  • Out of the 234 Australian funds that outperformed their respective benchmarks in the five year period ending in June 2016, only 34.2% continued to outperform in the following five-year period. 

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